Crypto Asset Portfolio selection

9 Pages Posted: 28 Jul 2021 Last revised: 25 Feb 2022

See all articles by Daniel Felix Ahelegbey

Daniel Felix Ahelegbey

University of Essex - Department of Mathematics

Paolo Giudici

University of Pavia

Fatemeh Mojtahedi

Sari Agricultural Sciences and Natural Resources University

Date Written: July 25, 2021

Abstract

The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements, frequent among crypto assets. To achieve this aim we consider both systemic and tail risks as additional constraints in Markowitz model. We apply the methodology to the observed time series the ten largest crypto-assets, in terms of market capitalization, over the period September 20, 2017 -- December 31, 2020 (1200 daily observations). The results indicate that the portfolios selected considering tail risk are more diversified and, therefore, more resilient to financial shocks.

Keywords: Portfolio Selection, Tail Risk, Extreme Downside Hedge, Systemic risk, Systematic risk.

JEL Classification: C53, C58

Suggested Citation

Ahelegbey, Daniel Felix and Giudici, Paolo and Mojtahedi, Fatemeh, Crypto Asset Portfolio selection (July 25, 2021). Available at SSRN: https://ssrn.com/abstract=3892999 or http://dx.doi.org/10.2139/ssrn.3892999

Daniel Felix Ahelegbey

University of Essex - Department of Mathematics ( email )

Wivenhoe Park
Colchester, Essex CO4 3SQ
United Kingdom

Paolo Giudici (Contact Author)

University of Pavia ( email )

Via San Felice 7
27100 Pavia, 27100
Italy

Fatemeh Mojtahedi

Sari Agricultural Sciences and Natural Resources University ( email )

Km 9 Darya Road, P.O Box 576
Sari, Mazandaran 48181 6898
Iran

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